Volatility Views 270: Return of VIX Ratios Plus VXX Questions

Published: Sept. 5, 2017, 6:50 p.m.

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Volatility Review: A look back at the week from a volatility perspective.

The numbers:

  • VIX Cash - 10.59, VVIX - 94.86
  • CBOE Skew Index - 130.5

Russell\'s Weekly Rundown:

  • VIX Options: ADV - 785k, VIX Call/Put - 3.3
  • Total 12.0m (9.24m Calls, 2.76m Puts)
  • OIV - 28.29
  • OVX - 28.37

Volatility Voicemail: Options Question of the week:

Let\'s get cheap! If you had to buy "lottery ticket" December calls for $.05 in one name - which would you choose? #HomeRun

  • AMZN
  • AAPL
  • Tesla
  • VIX

Listener Questions and Comments:

  • Question from JC - What am i missing? If VXX erodes why does anyone buy it?
  • Question from Simyan - So I should just short VXX into the dust? Is that the deal?
  • Question from Nils - So if the max length between splits is 3 years, and the minimum split price is $10 - aren\\u2019t the Jan 2019 20 puts for $2 a screaming deal?
  • Question from TimTim - Do any other Vol products exhibit this erosion?

Crystal Ball: Wild prognostication

Last week:

  • Mark L. - 11.75
  • Mark S. - 11.00
  • Russell - 10.80

This week:

  • Mark L. - 10.15
  • Mark S. - 10.65
  • Russell - 11.00
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